In this article we include discrete dividends in the stock price model and solve a generalized portfolio optimization problem. For this, we develop a new discrete dividend model that allows for the possibility of early announcement and ensures that the drop of the stock price at the ex-dividend...

The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...